Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap

Testing for Purchasing Power Parity correcting for non-normality using the wild bootstrap

We test for Purchasing Power Parity (PPP) in the G7 area for the post-Bretton Woods period. Unlike previous studies, we correct the critical values of the standard unit root test using a wild bootstrap technique. Our findings reject PPP, thus enhancing the contribution of the recent non-linear PPP l...

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Veröffentlicht in:Economics letters 2007-05, Vol.95 (2), p.285-290
Hauptverfasser: Arghyrou, Michael G., Gregoriou, Andros
Format: Artikel
Sprache:eng
Schlagworte:
Bootstrap mechanism
Dickey–Fuller
Purchasing Power Parity
Wild bootstrap
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Zusammenfassung:We test for Purchasing Power Parity (PPP) in the G7 area for the post-Bretton Woods period. Unlike previous studies, we correct the critical values of the standard unit root test using a wild bootstrap technique. Our findings reject PPP, thus enhancing the contribution of the recent non-linear PPP literature.
ISSN:0165-1765
1873-7374
DOI:10.1016/j.econlet.2006.10.022